Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0001
Annualized Std Dev 0.0064
Annualized Sharpe (Rf=0%) -0.0123

Row

Daily Return Statistics

Close
Observations 3476.0000
NAs 1.0000
Minimum -0.0043
Quartile 1 -0.0001
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0001
Maximum 0.0044
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0000
Variance 0.0000
Stdev 0.0004
Skewness -1.8928
Kurtosis 36.4010

Downside Risk

Close
Semi Deviation 0.0003
Gain Deviation 0.0003
Loss Deviation 0.0005
Downside Deviation (MAR=210%) 0.0083
Downside Deviation (Rf=0%) 0.0003
Downside Deviation (0%) 0.0003
Maximum Drawdown 0.0123
Historical VaR (95%) -0.0004
Historical ES (95%) -0.0011
Modified VaR (95%) -0.0006
Modified ES (95%) -0.0006
From Trough To Depth Length To Trough Recovery
2008-09-30 2015-12-09 NA -0.0123 3140 1812 NA
2008-09-18 2008-09-19 2008-09-29 -0.0063 8 2 6
2007-08-21 2007-10-02 2008-09-17 -0.0056 272 30 242
2007-07-02 2007-08-03 2007-08-20 -0.0050 35 24 11
2007-06-12 2007-06-12 2007-06-13 -0.0009 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0 0 -0.4 0 -0.2 -0.3 0 0 -0.9
2008 -0.3 0 -0.2 0 0 -0.1 -0.2 0 -0.2 -0.1 0.2 -0.2 -1
2009 0.1 0.1 0 0 -0.1 0 -0.1 -0.1 -0.1 0 0 0 0
2010 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2011 0 0 0 0 0 0 0 0 0 0 0 0 0
2012 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2013 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2014 0 0 0 0 0 0 0 0 0 0 0 0 0.1
2015 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2016 0 0 0 0 0 0 0 0 0 0 0 0 0
2017 0 -0.1 0 0 0 0 0 -0.1 0 -0.1 -0.1 0 -0.4
2018 -0.1 -0.1 0 -0.1 -0.1 0 -0.1 0 -0.2 -0.1 0 0 -0.8
2019 -0.2 -0.2 -0.2 -0.2 0 -0.2 -0.1 0 -0.2 -0.2 0 0 -1.3
2020 0 0 -0.1 0 0 0 0 0 0 0 0 0 -0.1
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-30  91.6 SPY    153.  0.0081  0.007     0.035    0.0891    0.196    0.367    0.420 GLD    64.7 -5.40e-3  -0.0077
2 2007-05-31  91.6 SPY    153. -0.001   0.00580   0.0313   0.0912    0.216    0.358    0.429 GLD    65.5  1.27e-2   0     
3 2007-06-01  91.6 SPY    154.  0.005   0.02      0.0304   0.111     0.208    0.365    0.44  GLD    66.4  1.37e-2   0.0261
4 2007-06-04  91.6 SPY    154.  0.0001  0.0159    0.0249   0.122     0.197    0.367    0.437 GLD    66.5  1.50e-3   0.0246
5 2007-06-05  91.6 SPY    153. -0.004   0.0082    0.017    0.0987    0.190    0.357    0.471 GLD    66.4 -2.60e-3   0.02  
6 2007-06-06  91.7 SPY    152. -0.0107 -0.0107    0.0059   0.088     0.194    0.355    0.451 GLD    66.4  6.00e-4   0.0261
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart